税赋待遇、市净率与除息日价格异常现象  

Tax Treatment, Price-to-Book Ratio, and Ex-Dividend Date Price Anomaly

作　　者：黄志典[1] 曾澧尧 

机构地区：[1]台湾大学管理学院,台北999079

出　　处：《当代财经》2017年第2期52-65,共14页Contemporary Finance and Economics

摘　　要：探讨税赋待遇与市净率是否可以解释REIT及普通股除息后的价格行为十分必要。税赋待遇不同可能导致REIT与普通股在除息期间有不同的价格行为;另外,除息事件会使市净率改变,投资人可能因此而调整投资组合,进而影响REIT与普通股除息后的价格表现。研究发现,REIT和普通股除息后的价格行为确实与税赋待遇及市净率变化有关,这有助于扩展相关领域的研究视角,对拟定投资策略也具有参考价值。It is necessary to discuss whether tax treatment and price-to-book ratio can explain the ex-dividend price anomaly of REITs and common stocks. Differences in tax treatment may cause REITs and stocks to have different ex-dividend price behaviors. Moreover, ex-dividend events will change the price-to-book ratio, prompting investors to adjust their portfolio and affecting the prices of REITs and stocks after the ex-dividend date. This study finds that the ex-dividend price behaviors of REITs and stocks are indeed related to their tax treatment and the changes of price-to-book ratio, which is conductive to widening the research perspective of the related field and also providing valuable references for making investment strategies.

关 键 词：除息日价格异常现象 税赋待遇 市净率效应 不动产投资信托 拔靴法 

分 类 号：F830.91[经济管理—金融学]